Advances in Fixed Income Valuation Modeling and Risk Management

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John Wiley & Sons, Jan 15, 1997 - Business & Economics - 391 pages
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Advances in Fixed Income Valuation Modeling and Risk Management provides in-depth examinations by thirty-one expert research and opinion leaders on topics such as: problems encountered in valuing interest rate derivatives, tax effects in U.S. government bond markets, portfolio risk management, valuation of treasury bond futures contract's embedded options, and risk analysis of international bonds.
 

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Contents

The Four Faces of an Interest Rate Model
21
ArbitrageFree Bond Canonical Decomposition
33
Problems Encountered in Valuing Interest Rate Derivatives
69
Recent Advances in Corporate Bond Valuation
85
An Options Approach to Commercial Mortgages
103
A TwoFactor Model for the Valuation of
135
Pricing and Hedging Interest Rate Risks with
153
l0 Valuation and Analysts of ARMs
171
l2 An Integrated Framework for Valuation
213
l3 Tax Effects in U S Government Bond Markets
233
l4 FixedIncome Risk
251
l5 Advanced Risk Measures for FixedIncome Securities
269
l6 Yield Curve Risk Management
281
l7 Portfolio Risk Management
317
l8 Numerical Pitfalls of LatticeBased Duration
327
Modeling and Forecasting Interest Rate Volatility with
345

Valuation and Portfolio Risk Management with
193

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About the author (1997)

Frank J. Fabozzi is a financial consultant, editor of the Journal of Portfolio Management, and Adjunct Professor of Finance at Yale University's School of Management.

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